Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0852
Annualized Std Dev 0.4059
Annualized Sharpe (Rf=0%) -0.2100

Row

Daily Return Statistics

Close
Observations 3743.0000
NAs 1.0000
Minimum -0.3200
Quartile 1 -0.0124
Median 0.0001
Arithmetic Mean 0.0000
Geometric Mean -0.0004
Quartile 3 0.0126
Maximum 0.1901
SE Mean 0.0004
LCL Mean (0.95) -0.0008
UCL Mean (0.95) 0.0008
Variance 0.0007
Stdev 0.0256
Skewness -0.5293
Kurtosis 12.5647

Downside Risk

Close
Semi Deviation 0.0185
Gain Deviation 0.0178
Loss Deviation 0.0195
Downside Deviation (MAR=210%) 0.0230
Downside Deviation (Rf=0%) 0.0185
Downside Deviation (0%) 0.0185
Maximum Drawdown 0.9351
Historical VaR (95%) -0.0385
Historical ES (95%) -0.0597
Modified VaR (95%) -0.0393
Modified ES (95%) -0.0747
From Trough To Depth Length To Trough Recovery
2008-06-24 2020-03-18 NA -0.9351 3208 2954 NA
2006-05-11 2006-10-03 2007-05-16 -0.2695 255 101 154
2007-10-16 2008-02-06 2008-04-16 -0.1942 126 78 48
2007-07-24 2007-08-16 2007-09-18 -0.1360 40 18 22
2008-04-22 2008-05-01 2008-05-08 -0.0712 13 8 5

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 0.4 1.1 -0.4 1.6 0.8 -1.2 0.5 -1 1.8
2007 0 0.7 -1.5 0.3 0.2 0.1 -1.1 1.8 1.5 -1.3 0.3 -1.2 -0.2
2008 3.1 -3.2 1.5 -2.3 0.8 0.4 0.6 -1.5 -3.9 0.4 -15.1 1.7 -17.4
2009 -2.7 -0.7 1.5 3.2 5 0.5 0.9 -1.8 -3.6 -4.7 1.3 -0.7 -2.2
2010 3.3 1.2 2.3 -2.4 -8.6 0.2 -0.1 4.4 0.9 0.4 3.2 0.2 4.4
2011 1.1 -2.1 0.2 1 -2.8 0.8 -0.7 -1.3 -3.9 -4.2 -0.2 0.5 -11.3
2012 1.3 1.5 1 1.3 -2.7 3.7 0.7 1.5 0.1 1.2 0.6 2.6 13.3
2013 1.2 -1.1 -1.7 -1.2 -2.1 1.3 2.3 -0.8 1.3 -0.7 0.3 0.8 -0.5
2014 -0.6 1.4 0.3 -1 0.2 -0.2 -0.5 0.8 -2.8 1.6 -1.5 -1 -3.5
2015 2 0.9 0.8 -0.4 -0.3 -3.2 -1.7 -3.5 -2 1.4 1 0.6 -4.4
2016 -2.4 2 -2.9 1.8 -0.7 2.6 -3.7 -0.5 1.6 0.2 1.2 0 -0.9
2017 0 2.8 0.9 -0.9 1.2 0.2 -1.3 1.7 0.2 0.8 3.3 0.4 9.4
2018 2 0.2 2.5 -0.9 -0.3 0 -1.3 -0.8 1.1 0.5 -2.1 -0.1 0.5
2019 2.1 1.9 2.8 -3 -2.4 0.3 -5.1 0 -3.5 4.5 -1.7 -0.6 -5
2020 -1.9 1.2 -6.7 -7 0.1 -2.6 -1.9 0.5 -3.6 3.6 3.8 -0.5 -14.6
2021 0.9 4.9 -0.6 NA NA NA NA NA NA NA NA NA 5.3

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-05  52.6 SPY    133.  0.0088    0.008    0.0115   0.0495    0.128    0.411   0.0609 GLD    68.0  0.0076   0.0446
2 2006-05-08  52.5 SPY    132. -0.00120   0.015    0.0114   0.0455    0.130    0.417   0.0418 GLD    67.6 -0.0063   0.0368
3 2006-05-09  53.1 SPY    133.  0.002     0.0094   0.0238   0.0569    0.126    0.434   0.0457 GLD    69.7  0.0314   0.047 
4 2006-05-10  53.5 SPY    133. -0.0005    0.0127   0.0217   0.0468    0.137    0.414   0.0586 GLD    70.4  0.01     0.059 
5 2006-05-11  52.5 SPY    131. -0.0121   -0.0031   0.018    0.0359    0.117    0.380   0.0283 GLD    71.0  0.0092   0.0526
6 2006-05-12  50.3 SPY    129. -0.0131   -0.0248   0.0028   0.0205    0.115    0.365   0.0238 GLD    71.1  0.0013   0.046 
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart